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Conditional performance evaluation

  • Ferson W
Springer US, (2006), 384-392
DOI: 10.1007/978-0-387-26336-6_36
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Abstract

… For example, Jensen's (1968) alpha is the difference between the return of a fund and a portfolio constructed from a market index and cash with fixed weights. The … omitted. In this case, [[alpha].sub.p] is Jensen's (1968) alpha …

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Ferson, W. E. (2006). Conditional performance evaluation. In Encyclopedia of Finance (pp. 384–392). Springer US. https://doi.org/10.1007/978-0-387-26336-6_36

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